Re: OLS question

In article <SMY%f.81$513.58@trndny05>,
DAVID A MCCUTCHAN <dagmac1@xxxxxxxxxxx> wrote:
Embarassed to ask this, but.. .
Let the data points for a regression each have different uncertainties, and
even different pdfs.
I believe OLS fits the means of the data points. But in principle
shouldn't the fit for a point involve squaring differences from the fitted
line
to a collection of y values constituting the pdf distribution for that
point?


If you have it, you should use the product of the densities
for the "errors". This is rarely possible.

OLS works well under many situations. If the points have
different variances, their inverses should be used as weights,
if known. If not known, the estimates will be less efficient.



--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@xxxxxxxxxxxxxxx Phone: (765)494-6054 FAX: (765)494-0558
.

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